QUICK SUMMARY

• The US Dollar Index is down -0.4% at 91.0
• Euro up 0.4% at 1.2064 (YTD: -1.2%)
• Yen up 0.3% at 109.04 (YTD: -5.3%)
• Onshore Yuan up 0.1% at 6.4598 (YTD: +0.9%)
• Swiss franc up 0.7% at 0.9076 (YTD: -2.4%)
• Sterling up 0.1% at 1.3894 (YTD: +1.6%)
• Canadian dollar up 1.3% at 1.2155 (YTD: +4.8%)
• Australian dollar up 1.1% at 0.7787 (YTD: +1.2%)
• NZ dollar up 1.3% at 0.7233 (YTD: +0.7%)

MACRO DATA RELEASES

• Czech Republic, Policy Rates, Repo Rate (2 Week) for 06 May (Czech National Bank) at 0.3, in line with estimate of 0.3
• Germany, New Orders, Manufacturing industry, Chg P/P for Mar 2021 (Deutsche Bundesbank) at 3.0, above consensus estimate of 1.7
• Malaysia, Policy Rates, Overnight Policy Rate for 06 May (BNM, Malaysia) at 1.8, in line with estimate of 1.8
• Norway, Policy Rates, Central Bank Rate Decision for 07 May (Norges Bank) at 0.0, in line with estimate of 0.0
• Russia, PMI, Services Sector, Business Activity for Apr 2021 (Markit Economics) at 55.2
• Taiwan, CPI, Chg Y/Y, Price Index for Apr 2021 (DGBAS, Taiwan) at 2.1, above consensus estimate of 1.7
• Turkey, CBRT OVERNIGHT BORROWING RATE (EP) for May 2021 (Central Bank, Turkey) at 17.5
• Turkey, Overnight Lending Rate for May 2021 (Central Bank, Turkey) at 20.5
• Turkey, Policy Rates, Central Bank 1 Week Repo Lending Rate for May 2021 (Central Bank, Turkey) at 19.0, in line with estimate of 19.0
• Turkey, Policy Rates, Late Liquidity Window Rate for May 2021 (Central Bank, Turkey) at 23.5
• United Kingdom, Policy Rates, Bank Rate for May 2021 (Bank of England) at 0.1, in line with estimate of 0.1
• United Kingdom, Policy Rates, GB BOE QE Corporate Bond Purchases, Current Prices for May 2021 (Bank of England) at 20.0, in line with estimate of 20.0
• United Kingdom, Reserves, Gross, Government, Current Prices for Apr 2021 (HM Treasury) at 178,964
• United States, Jobless Claims, National, Initial for W 01 May (U.S. Dept. of Labor) at 498.0, below consensus estimate of 540.0

RATES SPREADS

• 5Y German-US interest rates spread 0.2 bp tighter
• 5Y Japan-US rates spread 0.8 bp wider
• 5Y Chinese-US rates spread 2.7 bp tighter

VOLATILITIES

• Deutsche Bank USD Currency Volatility Index currently at 6.39, up 0.09 on the day (YTD: -0.90)
• Euro 1-Month At-The-Money Implied Volatility currently at 5.55, up 0.1 on the day (YTD: -1.4)
• Japanese Yen 1M ATM IV currently at 5.53, up 0.1 on the day (YTD: -0.6)
• Offshore Yuan 1M ATM IV currently at 3.48, down -0.3 on the day (YTD: -2.2)

NOTABLE MOVES IN SOVEREIGN CDS

• Kenya (rated B+): up 5.5 basis points to 416 bp (1Y range: 394-454bp)
• Senegal (rated ): up 5.0 basis points to 375 bp (1Y range: 355-409bp)
• Ecuador (rated WD): up 2.5 basis points to 166 bp (1Y range: 157-181bp)
• Spain (rated A-): up 0.9 basis points to 34 bp (1Y range: 29-120bp)
• Panama (rated BBB-): down 1.1 basis points to 71 bp (1Y range: 44-147bp)
• Peru (rated BBB+): down 1.3 basis points to 93 bp (1Y range: 52-106bp)
• Russia (rated BBB): down 1.8 basis points to 94 bp (1Y range: 72-158bp)
• Colombia (rated BBB-): down 4.2 basis points to 134 bp (1Y range: 83-239bp)
• Brazil (rated BB-): down 6.6 basis points to 184 bp (1Y range: 141-343bp)
• Turkey (rated BB-): down 7.2 basis points to 406 bp (1Y range: 282-645bp)

NOTABLE OTHER MOVERS TODAY

• Afghani up 2.5% (YTD: -0.5%)
• Bosnian Mark up 2.1% (YTD: -2.2%)
• Brazilian Real up 1.5% (YTD: -1.6%)
• Swaziland Lilageni up 1.3% (YTD: +3.5%)
• Namibian Dollar up 1.3% (YTD: +3.5%)
• Colombian Peso up 1.2% (YTD: -9.9%)
• Lesotho Loti up 1.2% (YTD: +3.5%)
• South Africa Rand up 1.2% (YTD: +3.5%)
• Moldovan Leu up 1.1% (YTD: -3.4%)
• Iceland Krona up 1.0% (YTD: +2.4%)